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随机违约强度下的信用风险期限结构研究 被引量：13

Study of credit risk term structure with stochastic default intensity
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摘要 构造了信用风险期限结构的框架性模型,属于强度模型流派.并讨论了两因子模型的例子,给出了可违约债券的价格解析表示式,最后分析了信用风险衍生产品的定价问题. The credit risk pricing model constructed in this paper belongs to the Intensity Model Category. We constructed the frame model for term structure model of credit risk, discussed the example of two-factors models and got the closed-form solution to the price of default-able bonds. Finally, we analyzed the pricing problem of credit risk derivatives.
作者 梁世栋 郭仌 方兆本
机构地区 中国科学技术大学统计与金融系
出处 《管理科学学报》 CSSCI 北大核心 2005年第4期74-79,共6页 Journal of Management Sciences in China
关键词 信用风险 期限结构 定价 强度模型 credit risk term structure pricing intensity model
分类号 F830.91 [经济管理—金融学]
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参考文献26

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同被引文献195

引证文献13

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管理科学学报
2005年 第4期

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